CA-6.1.1B
In order for a
(a) A conventional bank licensee must have a comprehensive understanding of the risk characteristics of its individual securitisation exposures, whether on-balance sheet or off-balance sheet, as well as the risk characteristics of the pools underlying its securitisation exposures;
(b) A conventional bank licensee must be able to access performance information on the underlying pools on an ongoing basis in a timely manner. Such information should include: exposure type, percentage of loans more than 30, 60 and 90 days past due, default rates, prepayment rates, loans in foreclosure, property type, occupancy, average credit score or other measures of creditworthiness, average loan-to-value ratio, and industry and geographic diversification. For re-securitisations, a conventional bank licensee must have not only information on the underlying securitisation tranches, such as the issuer name and credit quality, but also the characteristics and performance of the pools underlying the securitisation tranches; and
(c) A conventional bank licensee must have a thorough understanding of all structural features of a securitisation transaction that would materially impact the performance of the conventional bank licensee's exposures to the transaction, such as the contractual waterfall and waterfall-related triggers, credit enhancements, liquidity enhancements, market value triggers, and deal-specific definitions of default.
January 2015